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arXiv · 2010.02476

Limit results for $L^p$ functionals of weighted CUSUM processes

Lajos Horváth·Gregory Rice
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Abstract

The cumulative sum (CUSUM) process is often used in change point analysis to detect changes in the mean of sequentially observed data. We provide a full description of the asymptotic distribution of $L^p, 1\leq p <\infty$, functionals of the weighted CUSUM process for time series under general conditions.

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Lajos Horváth, Gregory Rice. 2020-10-06. Limit results for $L^p$ functionals of weighted CUSUM processes. https://arxiv.org/abs/2010.02476

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